Preheat oven to 450 degrees. On a large rimmed baking sheet, toss carrots with oil and cayenne; season with salt. Arrange in a single layer (use two baking sheets if necessary). Roast, tossing once halfway through, until tender, 30 to 40 minutes.
In a small bowl, whisk together honey, zest, and lemon juice; season with salt. If making ahead of time, cover and refrigerate carrots and dressing separately, up to 1 day. Otherwise, drizzle dressing over cooked carrots (still on baking sheet); toss to coat. Transfer to a serving dish; serve warm or at room temperature.